Detecting regime change in computational finance : (Record no. 257119)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 03106nam a2200349 i 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | TH-BaBU |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20240710091413.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 200620s2021 flua fob 001 0 eng d |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | DLC |
| Language of cataloging | eng |
| Description conventions | rda |
| Transcribing agency | TH-BaBU |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781003087595 (electronic book) |
| International Standard Book Number | 9780367536282 |
| 050 04 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG176.7 |
| Item number | .C44 2021 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Chen, Jun, |
| Dates associated with a name | 1990-, |
| Relator term | author. |
| 245 10 - TITLE STATEMENT | |
| Title | Detecting regime change in computational finance : |
| Remainder of title | data science, machine learning and algorithmic trading / |
| Statement of responsibility, etc. | Jun Chen, Edward P K Tsang. |
| 250 ## - EDITION STATEMENT | |
| Edition statement | First edition. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | Boca Raton, Fla. : |
| Name of producer, publisher, distributor, manufacturer | CRC Press, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2021. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource. |
| 336 ## - CONTENT TYPE | |
| Content type term | text |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media type term | computer |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier type term | online resource |
| Source | rdacarrier |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE | |
| Bibliography, etc. note | Includes bibliographical references and index. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | "Based on interdisciplinary research into "Directional Change", a new data-driven approach to financial data analysis, Detecting Regime Change in Computational Finance: Data Science, Machine Learning and, Algorithmic Trading applies machine learning to financial market monitoring and algorithmic trading. Directional Change is a new way of summarizing price changes in the market. Instead of sampling prices at fixed intervals (such as daily closing in time series), it samples prices when the market changes direction ("zigzag"). By sampling data in a different way, the book lays out concepts which enable the extraction of information that other market participants may not be able to see. The book includes a Foreword by Richard Olsen and explores the following topics: Data science: as an alternative to time series, price movements in a market can be summarised as directional changes Machine learning for regime change detection: historical regime changes in a market can be discovered by a Hidden Markov Model Regime characterisation: normal and abnormal regimes in historical data can be characterised using indicators defined under Directional Change Market Monitoring: by using historical characteristics of normal and abnormal regimes, one can monitor the market to detect whether the market regime has changed Algorithmic trading: regime tracking information can help us to design trading algorithms It will be of great interest to researchers in computational finance, machine learning, and data science"-- |
| Assigning source | Provided by publisher. |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Background and literature survey -- Regime change detection using directional change indicators -- Classification of normal and abnormal regimes in financial markets -- Tracking regime changes using directional change indicators -- Algorithmic trading based on regime change tracking. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Financial engineering |
| General subdivision | Methodology. |
| Topical term or geographic name entry element | Finance |
| General subdivision | Mathematical models. |
| Topical term or geographic name entry element | Stocks |
| General subdivision | Prices |
| -- | Mathematical models. |
| Topical term or geographic name entry element | Hidden Markov models. |
| Topical term or geographic name entry element | Expectation-maximization algorithms. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Tsang, Edward, |
| Relator term | author. |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=2576634">https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=2576634</a> |
| Public note | Electronic Resources |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | |
| Koha item type | E-Book |
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